ADDED: Usable multi-monitor support with "Displays have separate Spaces" turned off

GregWaterloo: I'm not entirely sure, but I think your preference was previously possible... however, your workflow method adds a LOT of touches for me, and therefore a lot of frustration. I think this is true for all of the other posters on this thread. (I'm pretty sure all of us have tried "Displays Use Separate Spaces" and went "Ugh.")

Took some experimenting with settings, but I have Parallels Desktop Pro 13.3.1 on MacBook Pro (13-inch, 2016, Four Thunderbolt 3 Ports) macOS 10.13.5 working perfectly with windows 10-1803 build.

My setup:
2 x External Asus MBP169 1920x1080
1 x MBP Retina Display

I have Windows running on both Asus monitors and macOS work Spaces on the Retina Display.
* [Technically since Parallels doesn't have the option to hide displays from Windows, I also have a Windows fullscreen 'workspace' on my Retina display but is unused and hidden from view. The only downside I can think of at the moment is a performance hit, which has not been noticeable so far]

-= My parallels settings: =-
Full Screen:
[x] Use all displays in full screen,
[ ] Activating virtual machine shows all it spaces,
[x] Optimize full screen for games (Ctrl+Option to break free and use macOS shortcuts if I have a Windows 10 monitor in focus).
Hardware:
[x] Best for external displays

-= macOS settings =-
Mission Control:
[ ] Automatically rearrange Spaces based on most recent use (I use Ctl + 1-7 to switch between specific work spaces]
[x] When switching to an application, switch to a Space with open windows for the application
[x] Group windows by application
[x] Displays have separate Spaces <--- Turning this off doesn't make sense in seeking the function the OP was looking for.

I am able to code with Visual Studio, and Excel + intensive graphing programs on the 2 Windows 10 external monitors. I also have multiple Windows 10 desktops I switch between.... I have macOS: Xcode, Sublime Text,... etc. only on my retina display.
** Most importantly I can bounce or click between monitors without my retina MBP display switching to the unused Windows 10 fullscreen space. And the external monitors stay on Windows 10 full screen spaces.

Hope that helps Parallels support in keeping the existing functionality, and or provide some settings for people to experiment with.

Though I have not yet tried it, I believe this issue may be fixed in the latest Parallels Desktop 14 release. From the Release Notes:

"Improved the way a virtual machine is displayed on multiple monitors when the macOS "Displays have separate Spaces" option is turned off. Instead of the black screen on one of the monitors, now the virtual machine is displayed on all screens."​

Hi guys, I am happy to let you know that we were able to improve multi-monitor support in the new Parallels Desktop 14 version (see updates summary).

With Parallels Desktop 14 for Mac installed simply disable 'Displays have separate spaces' > make sure that 'Use All Displays in Full Screen' is enabled (VM's menu bar > View) > enter Full Screen mode and you will be able to swipe between all displays at once.

We also did a bunch of improvements to multi-monitor support and overall product performance. Will be happy to hear your feedback.

Hallelujah! I'm very glad Parallels has come to their senses and decided to invest the time required to fix this. I know for a lot of us this has been make or break. I was preparing to move my workflow to Windows, especially with it seeming like Apple wasn't giving Mac's the love they need; glad to hear a Mac Mini Pro is likely to be released soon. Faith at least temporarily restored. About to trial PD 14 now before upgrading...

Thanks again, and thanks everyone else for getting on-board and making it known that something needed to be done with regards to multi-monitor support. A win for all.